Probability Analysis: Tools for SPY Options Trading

Hover over any point on the chart to see the probability of expiring above that strike price!

Expected Move Formula

\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)

SPY Expected Move

Expiration Dec 15 (3D) Dec 16 (4D) Dec 17 (5D) Dec 18 (6D) Dec 19 (7D) Dec 22 (10D) Dec 23 (11D) Dec 24 (12D) Dec 25 (13D) Dec 26 (14D) Jan 02 (21D) Jan 09 (28D) Jan 16 (35D) Jan 23 (42D) Jan 30 (49D) Feb 06 (56D) Feb 13 (63D) Feb 20 (70D) Feb 27 (77D) Mar 06 (84D) Mar 13 (91D) Mar 20 (98D) Mar 27 (105D)
lower 672.031 670.526 669.20 668.002 666.899 663.998 663.131 662.303 661.508 660.744 656.021 652.039 648.53 645.359 642.442 639.728 637.178 634.766 632.473 630.281 628.179 626.156 624.205
upper 691.489 692.994 694.32 695.518 696.621 699.522 700.389 701.217 702.012 702.776 707.499 711.481 714.99 718.161 721.078 723.792 726.342 728.754 731.047 733.239 735.341 737.364 739.315
expected move 9.729 11.234 12.56 13.758 14.861 17.762 18.629 19.457 20.252 21.016 25.739 29.721 33.23 36.401 39.318 42.032 44.582 46.994 49.287 51.479 53.581 55.604 57.555
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
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